A simple method for generating gamma variables

@article{Marsaglia2000ASM,
  title={A simple method for generating gamma variables},
  author={George Marsaglia and Wai Wan Tsang},
  journal={ACM Trans. Math. Softw.},
  year={2000},
  volume={26},
  pages={363-372}
}
  • G. Marsaglia, W. Tsang
  • Published 1 September 2000
  • Mathematics, Computer Science
  • ACM Trans. Math. Softw.
We offer a procedure for generating a gamma variate as the cube of a suitably scaled normal variate. It is fast and simple, assuming one has a fast way to generate normal variables. In brief: generate a normal variate <italic>x</italic> and a uniform variate <italic>U</italic> until In (<italic>U</italic>)<0.5<italic>x</italic><supscrpt>2</supscrpt> + <italic>d</italic> - <italic>dv</italic> + <italic>d</italic>ln(italic>v</italic>), then return <italic>dv</italic>. Here, the gamma parameter is… Expand
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